OPEN-SOURCE SCRIPT
Crunchster's Real Price
已更新
This is a simple transformation of any price series (best suited to daily timeframe) that filters out random price fluctuations and revealing the "real" price action. It allows comparison between different assets easily and is a useful confirmation of support and resistance levels, or can be used with other technical analysis.
In the default settings based on a daily chart, the daily returns are first calculated, then volatility normalised by dividing by the standard deviation of daily returns over the defined lookback period (14 periods by default).
These normalised returns are then added together over the entire price series period, to create a new "Real price" - the volatility adjusted price. This is the default presentation.
In addition, a second signal ("Normalised price series over rolling period") is available which, instead of summing the normalised returns over the entire price series, allows a user configurable, rolling lookback window over which the normalised returns are summed up. The default setting is 365 periods (ie 1 year on the daily timeframe for tickers with 24hr markets such as crypto. This can be set to 252 periods if analysing equities, which only trade 5 days per week, or any other user defined period of interest).
In the default settings based on a daily chart, the daily returns are first calculated, then volatility normalised by dividing by the standard deviation of daily returns over the defined lookback period (14 periods by default).
These normalised returns are then added together over the entire price series period, to create a new "Real price" - the volatility adjusted price. This is the default presentation.
In addition, a second signal ("Normalised price series over rolling period") is available which, instead of summing the normalised returns over the entire price series, allows a user configurable, rolling lookback window over which the normalised returns are summed up. The default setting is 365 periods (ie 1 year on the daily timeframe for tickers with 24hr markets such as crypto. This can be set to 252 periods if analysing equities, which only trade 5 days per week, or any other user defined period of interest).
版本注释
Added configurable source版本注释
Updated to overlay main chart开源脚本
本着真正的TradingView精神，此脚本的作者已将其开源，以便交易者可以理解和验证它。向作者致敬！您可以免费使用它，但在出版物中重复使用此代码受网站规则约束。 您可以收藏它以在图表上使用。
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